This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Long memory and level shifts: Re-analyzing inflation rates

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Philip Hans Franses (Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands)
Marius Ooms (Econometric Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands)
Charles S. Bos () (Tinbergen Institute, Erasmus University Rotterdam, P.O. Box 1738, NL-3000 DR Rotterdam, The Netherlands)

Additional information is available for the following registered author(s):

Abstract

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or exaggerated. Our main findings are that apparent long memory is quite resistant to level shifts, although for a few inflation rates we find that evidence for long memory disappears.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://link.springer.de/link/service/journals/00181/papers/9024003/90240427.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text of the articles in this series is restricted

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 24 (1999)
Issue (Month): 3 ()
Pages: 427-449
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:spr:empeco:v:24:y:1999:i:3:p:427-449

Note: received: March 1998/final version received: October 1998
Contact details of provider:
Web page: http://link.springer.de/link/service/journals/00181/index.htm

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords: Long memory · fractional integration · structural change · inflation

Other versions of this item:

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Ooms, Marius & Hassler, Uwe, 1997. "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, vol. 56(2), pages 135-141, October. [Downloadable!] (restricted)
  2. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November. [Downloadable!] (restricted)
    Other versions:
  3. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 467-70, October.
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July. [Downloadable!] (restricted)
  5. Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb.. [Downloadable!] (restricted)
  6. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.
  7. Hidalgo, Javier & Robinson, Peter M., 1996. "Testing for structural change in a long-memory environment," Journal of Econometrics, Elsevier, vol. 70(1), pages 159-174, January. [Downloadable!] (restricted)
  8. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  2. Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001. "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers 01-029/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  3. G. K. Randolph TAN, 2004. "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings 732, Econometric Society. [Downloadable!]
  4. M. Ooms & J.A. Doornik, 1999. "Inference and forecasting for fractional autoregressive integrated moving average models; with an application to US and UK inflation," Econometric Institute Report 171, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  5. Haldrup; Niels & Morten Oerregaard Nielsen, 2005. "Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices," Department of Economics, Working Papers 2005-18, Department of Economics, University of Aarhus. [Downloadable!]
    Other versions:
  6. Charles S. Bos, 2003. "Time Series Modelling using TSMod 3.24," Tinbergen Institute Discussion Papers 03-091/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  7. A.B. Berkelaar & R. Kouwenberg, 1999. "Investing in a real world with mean-reverting inflation," Econometric Institute Report 182, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
  8. Claudio Morana, 2000. "Measuring core inflation in the Euro area," Working Paper Series 36, European Central Bank. [Downloadable!]
  9. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO. [Downloadable!]
    Other versions:
  10. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
  11. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute. [Downloadable!]
  12. N. Hyung & P.F. Franses, 2002. "Inflation rates," Econometric Institute Report 261, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
  13. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616. [Downloadable!]
  14. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Department of Economics, Working Papers 2004-2, Department of Economics, University of Aarhus. [Downloadable!]
    Other versions:
  15. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society. [Downloadable!]
  16. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
Statistics
Access and download statistics

Did you know? A tutorial is available.

This page was last updated on 2008-5-9.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.